Economy & PolicyExtended setlive in productionNew

macro factor-shock propagation

Updated dailyData needs: mediumlong onlyshort onlylong short

In plain terms

When a big theme like oil or crypto suddenly moves, ride the stocks that are truly tied to that theme in the direction of their link to it.

How it works

For any ticker, measures its pure (market-orthogonalized) exposure to each macro/thematic factor (crypto/oil/rates/USD/gold/vol via ETF proxies BITO/USO/TLT/UUP/GLD/VXX) and, only where the exposure is significant and stable, trades the factor's momentum shock scaled by the sign of the exposure. A factor shock propagates into the equities materially exposed to it; discovering the exposed universe from rolling betas instead of hardcoding it captures relationships a hand list would miss. Liu-Tsyvinski 2021 is cited as the crypto prior, but the family is a method-based generalization with no single canonical paper.

Live results

28 times picked on its own · 34 times inside a blend (34 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 34 such blended picks (34 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

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Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.

Expected edge

A momentum shock in a macro factor (oil, crypto, rates, etc.) keeps pushing the stocks that are genuinely exposed to it, in the direction of their exposure.

Related families

factor-neutral idiosyncratic residualPrice & Market Behavior

Filter out the parts of a stock's move driven by the market and big macro themes, then trade only on what is left that is unique to that company.

low-turnover factor-neutral residual momentumPrice & Market Behavior

The same trade-on-the-stock's-unique-move idea, but holding positions for months so trading costs don't eat the profit.

Explore macro factor-shock propagation on alphactor.ai

See which tickers this family is currently firing on, with live signals and rankings.

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